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Introducing Hurst exponent in pair trading
16 references·0 citing·36 second hop
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 2002Multifractal detrended fluctuation analysis of nonstationary time series3,650 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 1999Introduction to Econophysics1,831 cited
  • 1995Scaling behaviour in the dynamics of an economic index1,754 cited
  • 1991Long-Term Memory in Stock Market Prices1,743 cited
  • 1989Long-term Memory in Stock Market Prices1,433 cited
  • 1995ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY1,189 cited
  • 1969Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical dependence1,066 cited
  • 2001Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing1,003 cited
  • 2001An Introduction to High-Frequency Finance956 cited
  • 2006Pairs Trading: Performance of a Relative-Value Arbitrage Rule785 cited
  • 2001Characteristics of Risk and Return in Risk Arbitrage765 cited
  • 1996Turbulent cascades in foreign exchange markets643 cited
  • 1989Space-Time Modelling with Long-Memory Dependence: Assessing Ireland's Wind Power Resource625 cited

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  • 2004Are Momentum Profits Robust to Trading Costs?571 cited
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